Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0530
Annualized Std Dev 0.2013
Annualized Sharpe (Rf=0%) 0.2634

Row

Daily Return Statistics

Close
Observations 5147.0000
NAs 1.0000
Minimum -0.1099
Quartile 1 -0.0047
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0058
Maximum 0.1012
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0127
Skewness -0.2518
Kurtosis 10.7100

Downside Risk

Close
Semi Deviation 0.0092
Gain Deviation 0.0092
Loss Deviation 0.0102
Downside Deviation (MAR=210%) 0.0138
Downside Deviation (Rf=0%) 0.0091
Downside Deviation (0%) 0.0091
Maximum Drawdown 0.6195
Historical VaR (95%) -0.0192
Historical ES (95%) -0.0309
Modified VaR (95%) -0.0187
Modified ES (95%) -0.0304
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-10-17 -0.6195 1606 444 1162
2020-01-21 2020-03-23 2021-01-12 -0.3754 248 44 204
2001-05-23 2002-10-09 2004-01-21 -0.3550 665 343 322
2018-01-29 2018-12-24 2019-09-13 -0.2093 410 229 181
2015-06-24 2016-02-11 2016-08-15 -0.1816 289 161 128

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA NA NA 0.1 2.1 -0.4 0.7 0.2 2.7
2001 0.1 -0.4 0.8 1.1 0 -0.3 0 0.7 -0.7 1.7 0.2 0.1 3.2
2002 -0.7 1.5 -0.5 0.7 0.8 -2.2 -2.2 -0.3 3.2 2.3 0.3 0.3 3.1
2003 0.3 0.1 0.4 -0.2 1.4 0.7 -1 1 1.8 0.2 1 0.2 6.1
2004 0 1 0.4 -0.2 0 -0.9 0.1 0.5 1.6 0.5 1.1 0 4
2005 0.7 0.4 -0.5 0.9 0.5 0.4 0 0.2 0 -0.1 1.2 -0.1 3.5
2006 0.2 1.1 -0.3 -0.4 1.4 0 -0.2 0.4 -0.3 -0.7 -0.2 -0.5 0.3
2007 0.7 -0.2 0.1 0.1 0.4 -0.4 0.5 1 1.5 -3.1 1.3 -0.7 1.2
2008 1.9 -3 3.8 1.8 -0.1 0.4 -0.1 -0.9 0.5 1.6 -9.6 1.9 -2.4
2009 -2.1 -2.5 2.1 0.4 2.4 0.4 0.2 -2.5 -2.9 -3.3 1.1 -0.8 -7.5
2010 1.4 1 0.9 -1.6 -2.4 -0.5 0 3.1 0.5 -0.2 2.1 0 4.3
2011 1.7 -1.4 0.5 0.2 -2.4 1.4 -0.2 -1.4 -2.4 -3.2 -0.6 -0.5 -8.2
2012 1.3 0.6 0.2 0.8 -2.5 2.4 -0.5 0.2 0.3 1.1 0 1.8 5.8
2013 0.8 0.3 -0.3 -1.2 -1.5 1.1 1.2 -0.5 0.9 0.3 -0.2 0.3 1.2
2014 -0.8 0.3 0.6 -0.1 0.1 0.6 -0.5 0.4 -1.4 1.3 -0.5 -1 -1
2015 -1.2 -0.2 -0.3 0.9 -0.1 0.6 -0.4 -3.2 0.1 -0.4 1 -0.8 -4
2016 -0.3 2.3 0.4 -0.5 0.2 0.4 -0.7 -0.1 1 -0.6 0.1 -0.2 2
2017 -0.2 1.5 -0.4 0 1.1 0.2 0.2 0.5 0.2 0.3 -0.1 -0.4 2.8
2018 0.1 -1.1 1.3 -0.2 0.7 0.1 -0.6 -0.1 0.4 1 0.6 0.8 2.9
2019 0.1 0.6 1.3 -0.5 -1.4 0.7 -1.3 0.2 -1.5 1.4 -0.3 0.3 -0.5
2020 -1.9 -1.3 -4.6 -2.8 0.3 -0.2 -0.3 0.1 0.1 0.1 0.9 0.8 -8.6
2021 0.9 2.2 -0.4 NA NA NA NA NA NA NA NA NA 2.7

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Price Chart

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Rolling Performance Chart

Row

Snail Trail Chart